Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
Year of publication: |
2002-10
|
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Authors: | Andrews, Donald W.K. ; Sun, Yixiao |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Adaptive estimator | Asymptotic bias | Asymptotic normality | Bias reduction | Local polynomial | Long memory | Minimax rate | Optimal bandwidth | Whittle likelihood |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | CFP 1080. Published in Econometrica (2004), 72(2): 569-614 The price is None Number 1384 50 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models |
Source: |
-
Local Polynomial Whittle Estimation of Long-range Dependence
Andrews, Donald W.K., (2001)
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Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence
ANDREWS, DONALD W, (2002)
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A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
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Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
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